Carpenter Analytix Market Models & Metrics

Prime Timers

Gurus Adding Value in Beta Variation

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Our several "moving beta" models track the ups and downs of market exposure across hundreds of funds.  Some funds show significant gains from exposure management (Beta Gain); that is, positive  timing effects.  The funds tabulated here have positive timing contributions (in red rectangle) and well-deserved reputations.  

Three of seven Prime Timers are above their median exposures (blue rectangle in summary table).  Current median percentile across funds is at 24th percentile.  The average of current percentiles is 42.9 (vs 41.6 last week).  The top three timers' percentile average is  66.3 (vs 64.7 last week).

Prime Timer exposure graphics for January appear below the summary table.  The summary table is updated weekly; graphics monthly.  

The red rectangle above shows the percentage points of each fund's average annual total return that arose from beta variation (timing).  The blue rectangle shows where each fund's current equity exposure ranks within its own recent ten-year history.  Do not get contrary to positive timing gurus when they move toward bullish or bearish congruence.  (Note for example, in graphs below, all six showed sharply reduced exposure at summer of 2007.) 

Fund Exposure Graphics: 

Value Funds.  When these funds have above-market exposure, the S&P has gained at an average annualized rate of +6.6%; when below-market, the S&P lost at a -10.4% rate. Click here to see how Value Fund exposure deciles are related to forward returns. 

Value Funds                                 February 3 Exposure: 1.19x market  (89th Percentile)

Red hashmarks toward right of each graph show 10-year quintile and "outside" decile boundaries.

FPA Capital fund (FPPTX) has great ten-year timing (adjusted annual BetaGain, recently at +3.2% (in red rectangle in data table above).   

Robert Rodriguez                      February 3 Exposure: 1.15x market  (89th Percentile)

Legg Mason Value Trust (LMVTX).  Miller's fund was bullish through 2009, but has retreated somewhat from that.  After bailing out like crazy back in the fall of 2008 (see chart below), the fund raised exposure steadily and rapidly from October to April 2009, then plateaued and has been gradually retreating since.  Bill Miller stepped down in November 2011).  It is not yet clear whether our LMVTX coverage here will continue.

Bill Miller                                        February 3 Exposure: 1.02x market  (21st Percentile)

Leuthold Core Fund (LCORX) is at very low exposure, but not quite "extreme" (defined here as bottom quintile).  Leuthold had been reducing exposure regularly since late 2009, but then raised it again since late 2010.  Back to bearish in the August market collapse, and now creeping back up. 

Steve Leuthold                            February 3 Exposure: 0.51x market  (24th Percentile)

Heebner's CGM Focus Fund.  CGMFX was hailed as "Best Stock Fund of the Decade" by the WSJ (Dec 31, 2010), but the article only addressed stock-picking, failing to note that almost 13 percent of the fund's total return (6.5% of the decade average 18%) was from market timing gains.

Ken Heebner                              February 3 Exposure: 1.34x market   (61st Percentile)

Hussman Strategic Growth carries long or short exposure equally.  Notably bearish for months, then relief through the summer, and now reasserting negative position.

John Hussman                       February 3 Exposure:  - 0.35x market  (12th Percentile)

Vanguard Asset Allocation.  VAAPX erred badly in holding 100% exposure through 2008.  But that was an historical aberration; overall timing has been quite good...but diminished again recently.  Exposure is "crashing" in recent weeks, indicating a remarkable downshift in Vanguard outlook.  

Vanguard                                     February 3 Exposure: 0.61x market  (4th Percentile)

Red hashmarks toward right of each graph show 10-year quintile and "outside" decile boundaries.

Use the Contact link to inquire for exposure paths (and timing scores) on your key funds. 

The summary table on this Prime Timers page is updated weekly; graphics monthly.  

Background Notes on Prime Timers.  Our "moving beta" tracks changes in equity exposure based on market sensitivity of daily returns.  BetaGain maps the moving beta exposure vs market trends to estimate gain or loss from exposure variation.  See Models page (navigation bar at left) for more on "moving beta" in the PBA model.

BetaGain (in red rectangle) shows annualized timing returns. The "Adjusted" column equalizes BetaGain potential relative to each fund's range of beta variation (StD of the daily beta estimates).

The second-to-last column (inside blue rectangle) shows recent exposures normalized to 0-to-100 scale.  A score of 50 means a fund is currently at it's own average exposure.  Above 50 is bullish position, and below 50 is bearish.  The final "Change5" column shows the 5-day change in normalized exposure.